中文摘要：

两笔交易之间的持续期可以用来度量资产的流动性,本文借鉴VaR的思想,提出了持续期风险DaR的定义,可以用来度量资产的流动性风险,并给出了两种DaR的静态估计方法。同时根据持续期数据的序列相关的特点,应用分位点自回归方法得到了DaR的一种有效的动态估计方法。最后对我国股票市场的单只股票的分笔交易数据进行了实证分析,结果表明由分位点自回归方法得出的DaR结果预测效果最好。

英文摘要：

Duration between two trades can be used to measure the capital liquidity.In this paper, the Duration at Risk is proposed based on the idea of Value at Riak which can be considered as a measurement of liquidity risk,and two static estimating methods of it are also presented.Because of the serial dependent character of the duration data,the quantile autoregression method is used to obtain the dynamic estimator of DaR.At last,an empirical analysis of the tick-by-tick data of a stock is given,and a significant result is obtained.